The Markit iBoxx US Non-Agency RMBS Indices are the first independent tracking tools for the non-agency RMBS market. They leverage Markit’s proven experience providing services to the securitised products market.
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The index family consists of 27 sub-indices referencing approximately 350 “senior” bonds from a portfolio of 22,000 RMBS issued between 2005 and 2007. The sub-indices are divided into four categories: Prime, Sub-Prime, Alt-A and Option ARM. These are further broken down by vintage to allow for granular performance analysis.
Each index provides investors with historical and ongoing data to assess the returns of the US non-agency RMBS market and its sub-sectors. The index composition is rules-based, and selection criteria include deal size, pricing date and the type and quality of the mortgages referenced in each deal. The indices use the Markit iBoxx total return methodology and pricing data sourced from Markit Pricing Data, which currently prices more than 1.3m RMBS daily.
Delivers coverage, precision and granularity to support performance measurement and attribution as well as research on the US RMBS market
Customisable based on collateral type, vintage, structural characteristics or performance metrics, as well as a web-based calculator for generating customised price and total returns for each available index
Rules-based methodology for constituent selection, annual rebalancing and daily price and total return calculations, with a fully documented price challenge process available
Constituents selected from a non-agency US RMBS universe of more than 22,000 CUSIPs and over $800bn in principal balance, with available sub-indices representing over $75bn of this universe and containing only 'Senior' certificates